1,144 research outputs found
Algorithmic Complexity of Financial Motions
We survey the main applications of algorithmic (Kolmogorov) complexity to the problem of price dynamics in financial markets. We stress the differences between these works and put forward a general algorithmic framework in order to highlight its potential for financial data analysis. This framework is “general" in the sense that it is not constructed on the common assumption that price variations are predominantly stochastic in nature.algorithmic information theory; Kolmogorov complexity; financial returns; market efficiency; compression algorithms; information theory; randomness; price movements; algorithmic probability
Image Characterization and Classification by Physical Complexity
We present a method for estimating the complexity of an image based on
Bennett's concept of logical depth. Bennett identified logical depth as the
appropriate measure of organized complexity, and hence as being better suited
to the evaluation of the complexity of objects in the physical world. Its use
results in a different, and in some sense a finer characterization than is
obtained through the application of the concept of Kolmogorov complexity alone.
We use this measure to classify images by their information content. The method
provides a means for classifying and evaluating the complexity of objects by
way of their visual representations. To the authors' knowledge, the method and
application inspired by the concept of logical depth presented herein are being
proposed and implemented for the first time.Comment: 30 pages, 21 figure
A Compressed Sampling and Dictionary Learning Framework for WDM-Based Distributed Fiber Sensing
We propose a compressed sampling and dictionary learning framework for
fiber-optic sensing using wavelength-tunable lasers. A redundant dictionary is
generated from a model for the reflected sensor signal. Imperfect prior
knowledge is considered in terms of uncertain local and global parameters. To
estimate a sparse representation and the dictionary parameters, we present an
alternating minimization algorithm that is equipped with a pre-processing
routine to handle dictionary coherence. The support of the obtained sparse
signal indicates the reflection delays, which can be used to measure
impairments along the sensing fiber. The performance is evaluated by
simulations and experimental data for a fiber sensor system with common core
architecture.Comment: Accepted for publication in Journal of the Optical Society of America
A [ \copyright\ 2017 Optical Society of America.]. One print or electronic
copy may be made for personal use only. Systematic reproduction and
distribution, duplication of any material in this paper for a fee or for
commercial purposes, or modifications of the content of this paper are
prohibite
Incentive Compatible Active Learning
We consider active learning under incentive compatibility constraints. The
main application of our results is to economic experiments, in which a learner
seeks to infer the parameters of a subject's preferences: for example their
attitudes towards risk, or their beliefs over uncertain events. By cleverly
adapting the experimental design, one can save on the time spent by subjects in
the laboratory, or maximize the information obtained from each subject in a
given laboratory session; but the resulting adaptive design raises
complications due to incentive compatibility. A subject in the lab may answer
questions strategically, and not truthfully, so as to steer subsequent
questions in a profitable direction.
We analyze two standard economic problems: inference of preferences over risk
from multiple price lists, and belief elicitation in experiments on choice over
uncertainty. In the first setting, we tune a simple and fast learning algorithm
to retain certain incentive compatibility properties. In the second setting, we
provide an incentive compatible learning algorithm based on scoring rules with
query complexity that differs from obvious methods of achieving fast learning
rates only by subpolynomial factors. Thus, for these areas of application,
incentive compatibility may be achieved without paying a large sample
complexity price.Comment: 22 page
A complexity analysis of statistical learning algorithms
We apply information-based complexity analysis to support vector machine
(SVM) algorithms, with the goal of a comprehensive continuous algorithmic
analysis of such algorithms. This involves complexity measures in which some
higher order operations (e.g., certain optimizations) are considered primitive
for the purposes of measuring complexity. We consider classes of information
operators and algorithms made up of scaled families, and investigate the
utility of scaling the complexities to minimize error. We look at the division
of statistical learning into information and algorithmic components, at the
complexities of each, and at applications to support vector machine (SVM) and
more general machine learning algorithms. We give applications to SVM
algorithms graded into linear and higher order components, and give an example
in biomedical informatics
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